商业银行流动性风险管理分析-工商管理专业论文.docxVIP

摘 摘 要 为全面加强商业银行流动性风险管理，本文从商业银行流动性风险管理的基 本概念入手，介绍了商业银行的风险管理、流动性管理和流动性风险管理，重点 阐述了流动性缺口模型和备付金持有量模型，通过对流动性风险管理模型的应用 分析，进一步展望了商业银行核心存款和资金流量，并提出商业银行流动性风险 管理的对策。 1、流动性缺口模型。从全部存款中估算出核心存款，对于商业银行加强流动 性管理具有十分重要的意义。本文借鉴西方商业银行普遍采用的流动性缺口模型， 利用HP滤波方法估算出存款变动的长期趋势，在此基础上估算出商业银行的核 心存款。以计算流动性缺口，衡量商业银行的流动性状况。 2、备付金持有量模型。对备付金进行管理，是商业银行流动性管理的重要内 容。目前，我国商业银行对备付金的管理具有较强的主观性，且忽视了对盈利性 的考虑，与西方商业银行的做法之间有一定差距。本文基于对盈利性目标的考虑， 提出了一种确定商业银行最佳备付金持有量的数学模型，从资金流量出发，对备 付金成本进行了分析。 全文通过对流动性缺口和备付金持有量两个数学模型的讨论，提出了商业银 行流动性风险管理数学模型的衡量方法，对现阶段我国商业银行流动性风险管理， 具有较强的现实指导意义。 关键词：商业银行流动性缺口备付金持有量风险管理模型 AbstractIn Abstract In order to strengthen the overall management of the Funds—Flow Risk of commercial bank，this paper try to introduce the basic concepts of management of risks，the management of Funds-Flow and the management of Funds—Flow Risk of commercial bank，focusing on funds—circulating gap model and cover—held model． Through applied analysis of the Found—Flow Risk，this paper prospect the core deposit and fund—flow of commercial bank and give some advice of the management of the Funds．Flow Risk． A．The funds—circulating gap model．It is very important for tommercial bank to strengthen the management of the Funds-Flow Risk by estimating core deposit from a11．This paper use the western style of commercial bank funds—flow gap model as reference，work out funds—flow gap model and measure the long-term trends of variable deposit with the HP filtration，and calculate core deposit to work out funds-flow gap and measure the status of commercial bank funds—flow． B．The cover—held model．To rnn cover。held model is one of the content for the commercial bank funds—flow management．At present，commercial banks in China manage the cover very subjectively，and always ignore the ability to make profits， thus there is a distance between Chinese banks and western banks．Considering the goal of gaining profits．this paper put forward the mathematical model for fixing ne cover-held，and analyzes it from the angle of funds—flow． Through disc